Market Structure and Trading Volume

Posted: 13 Apr 2004

Abstract

Historically, trading volume reported for NASDAQ stocks has been overstated vis-a-vis New York Stock Exchange (NYSE) stocks, due both to the dealer's participation in trades as a market maker and to interdealer trading. Beginning in 1997, the Securities and Exchange Commission (SEC) changed order handling rules and trade reporting rules, which may have reduced or eliminated the overstatement of NASDAQ trading. We examine trading volumes of firms changing from NASDAQ to the NYSE since 1997 and document that reported trading volume for NASDAQ stocks continues to be overstated. Moreover, the degree of overstatement is much larger for firms with high trading volume.

Keywords: Trading volume, market structure, NASDAQ, NYSE

JEL Classification: G10, G20, L22

Suggested Citation

Dyl, Edward A. and Anderson, Anne M., Market Structure and Trading Volume. Available at SSRN: https://ssrn.com/abstract=528682

Edward A. Dyl (Contact Author)

University of Arizona ( email )

Department of Finance
Tucson, AZ 85721
United States
520-621-9534 (Phone)
520-621-1261 (Fax)

Anne M. Anderson

Middle Tennessee State ( email )

TN
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
1,643
PlumX Metrics